coamo2 / Barra
Barra Multifactor Model
☆132Updated 4 years ago
Related projects: ⓘ
- Provide risk forecasts by Barra China Equity Model☆157Updated 6 years ago
- Barra CNE6 因子构建☆242Updated 4 years ago
- Barra-Multiple-factor-risk-model☆125Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆62Updated 6 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆54Updated 3 years ago
- 基于万矿平台,对alpha101因子进行测试并构造多因子策略☆82Updated 5 years ago
- 因子构建、单因子测试☆66Updated 3 years ago
- 本文通过gplearn模型,结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统,主要针对股指期货操作。☆99Updated 8 months ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆116Updated 4 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆149Updated last year
- 因子回测框架☆85Updated last year
- 升级后的gplearn, 支持包含时序和截面参数的自定义函数,例如均线☆50Updated 7 months ago
- BackTrader多因子回测框架 (Multi-factors backtesting framework for BackTrader)☆85Updated 2 years ago
- ☆132Updated last week
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆38Updated last year
- ☆185Updated 4 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆188Updated 3 years ago
- 以wind为数据源的基金单期brinson业绩归因☆72Updated 4 years ago
- 沪深300指数增强模型☆70Updated 5 years ago
- 多因子指数增强策略/多因子全流程实现☆256Updated 6 months ago
- ☆122Updated last year
- stock☆79Updated 3 years ago
- 对GPLearn完成了三维改造,并且增加了IC,IR,RankIC等指标,增加了样本内样本外的数据保存,增加了基于IC追踪所有generation中符合要求的因子并保存的功能。☆106Updated last year
- 改进gplearn,主要使用在股票公式挖掘☆89Updated 4 years ago
- 计算波动率的六种方法,计算隐含波动率,凤凰期权的定价,编制基于50ETF期权的VIX指数☆115Updated 4 years ago
- 期权隐含波动率/历史波动率☆181Updated 2 years ago
- alpha101, alpha191, alphalens, backtrader, 量化研究☆188Updated last year
- 使用Python复现Black-Litterman模型。Black-Litterman模型创造性地采用贝叶斯方法将投资者对预期收益的主观看法与资产的市场均衡收益相结合,有效地解决了Markowitz均值-方差模型中投资者难以准确估计各个投资品种预期收益率、以及其权重对预期收…☆127Updated 4 years ago
- ☆148Updated 11 months ago
- 分享量化投资相关的论文,代码和代码复现。☆68Updated last year